IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Testing for a Linear Unit Root against Nonlinear Threshold Stationarity

Listed author(s):

In this paper we propose a direct testing procedure to detect the presence of linear unit root against geometrically ergodic process defined by the self-exciting threshold autoregressive (SETAR) model with three regimes. Assuming that the process follows the random walk in the corridor regime, the null can be tested by the Wald test for the joint significance of the threshold autoregressive parameters under both lower and upper regimes. We prove that the suggested Wald test does not depend on unknown threshold values under the null at least asymptotically. We also derive its analytic asymptotic null distribution. Monte Carlo evidence clearly indicates that the exponential average of the Wald statistic is more powerful than the standard Dickey-Fuller test that ignores the threshold nature under the alternative.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: no

Paper provided by Edinburgh School of Economics, University of Edinburgh in its series ESE Discussion Papers with number 60.

in new window

Length: 25
Date of creation: Jul 2000
Handle: RePEc:edn:esedps:60
Contact details of provider: Postal:
31 Buccleuch Place, EH8 9JT, Edinburgh

Phone: +44(0)1316508361
Fax: +44(0)1316504514
Web page:

More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:edn:esedps:60. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Hannah Chater)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.